Factor Return: 因子收益 Time-series Regression: 时序回归 Cross-sectional Regression: 截面回归 Capital Asset Pricing Model, CAPM: 资本资产定价模型 问题1:什么是beta? 1.1 以数学模型的角度如下哪个是CAPM? ,()rp−rf=βp(rm−rf)+ϵ,(1) ,()rp−rf=α+βp(rm−rf)+ϵ,(2) rp 指代资...
1. 华夏红利 相对基准指数 alpha=24.54%,beta=0.67; 2. 银河稳健 相对基准指数 alpha= 4.70%,beta=1.04; 3. 广发稳健 相对基准指数 alpha= 4.89%,beta=1.25; 4. 嘉实稳健 相对基准指数 alpha= -5.41%,beta=1.06; 5. 大摩基础 相对基准指数 alpha= -16.89%,beta=1.20; 按照选择依据,华夏红利是超额收益...
Alpha is the excess returns earned on an investment above the benchmark return while beta is a way of measuring a stock's volatility compared with the overall market's volatility.
简单来说呢，F-Score就是一个利用9个因子对股票基本面进行评分的模型，得分越高，股票就约优质，这9...
a r语言return r语言 alpha,量化投资中经常提到的alpha(收益)和beta(收益)是从资本资产定价模型(CAPM)中衍生出来的概念。CAPM是一个给风险定价的基本模型,它认为只有系统风险(Systematicrisk)才能带来收益。这是因为非系统风险(Nonsystematicrisk)可以通过投资
在全球最大规模的对冲基金桥水,有一个万能公式:Return=Cash+Beta+Alpha。当我们把一家公司看做一只股票,其长期回报也能用这个公式来解释。对于任何企业来说,其长期的竞争力主要由Beta+Alpha构成。我们理解Beta就是行业发展的风口和时代背景,Alpha是超越同行的竞争力。
upon which the economy and markets are establishing their footing. For equity investors, we believe this regime change means a different opportunity set than the one that prevailed over the past decade and a half ― and one that favors alpha (excess return) over beta (market return). ...
A passive investor who’s looking to earn the market return might choose to invest in the index fund with a beta of 1, whereas a more aggressive investor might be interested in Tesla because of its high beta. Defensive investors might look to stocks with betas less than one, such as Wal...
Alpha vs Beta: Comparison Alpha Alpha is the excess return relative to market volatility. Alpha evaluates investment performance beyond predicted returns. Alpha greater than zero suggests outperformance after adjusting for risk. Beta Beta measures a security's volatility compared with a benchmark index....
Alpha=R−Rf−beta(Rm−Rf)where:R=The portfolio returnRf=The risk-free rate of returnbeta=The systematic risk of a portfolioRm=The market return, per a benchmarkAlpha=R−Rf−beta(Rm−Rf)where:R=The portfolio returnRf=The risk-free rate of returnbeta=The systematic risk of ...